Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0607
Annualized Std Dev 0.1869
Annualized Sharpe (Rf=0%) 0.3250

Row

Daily Return Statistics

Close
Observations 4310.0000
NAs 1.0000
Minimum -0.1123
Quartile 1 -0.0049
Median 0.0009
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0059
Maximum 0.1301
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0118
Skewness 0.3008
Kurtosis 17.9148

Downside Risk

Close
Semi Deviation 0.0084
Gain Deviation 0.0086
Loss Deviation 0.0092
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0083
Downside Deviation (0%) 0.0083
Maximum Drawdown 0.4841
Historical VaR (95%) -0.0164
Historical ES (95%) -0.0276
Modified VaR (95%) -0.0138
Modified ES (95%) -0.0138
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-09 2014-04-08 -0.4841 1592 312 1280
2020-02-19 2020-03-23 NA -0.3682 275 24 NA
2015-01-30 2015-09-04 2016-03-29 -0.1761 292 152 140
2017-11-15 2018-02-08 2018-12-03 -0.1579 264 58 206
2007-05-22 2007-07-27 2007-12-05 -0.1271 138 47 91

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA 1.4 0.6 -1.1 -0.1 -0.7 0.1 0.5 0.9 0.4 -0.8 -0.5 0.7
2005 0.7 0.6 0.2 1.2 0.8 0.7 -1 1.4 -0.2 -1.8 0.6 -0.3 3
2006 0.2 -0.2 -0.5 -0.8 1.1 0.4 0.8 -0.2 -0.9 0.5 0.2 -0.2 0.4
2007 0.9 0.4 -0.6 1.3 -0.5 0.3 2.9 1.8 1.5 -1.9 0.6 -0.8 6
2008 1.6 -2.4 2.6 1.7 -0.1 0.6 -2.7 -1.6 0.3 -1.3 -6.7 2.1 -6.3
2009 -2.3 -1.5 0.3 2.1 3.1 1.2 -0.9 -0.7 -1.8 -2 1.7 -1.5 -2.4
2010 0.6 1.1 1.1 0.3 -2.2 -0.6 -0.6 2.3 0.6 -0.8 1.1 -0.1 2.8
2011 1.2 -0.8 0.7 0.3 -1.1 1.3 0.3 -0.5 -0.9 -2.1 -0.2 -0.6 -2.5
2012 0.4 0.3 0.5 0.4 -0.4 0.5 -0.7 -0.2 -0.5 -0.8 0.8 1.4 1.6
2013 0.3 0.3 -0.3 -1.1 -0.6 -1.3 0.9 -0.3 0.3 0.5 0 0.2 -1.1
2014 0.7 0.7 -0.6 0.4 0.8 -0.9 0.3 0.7 0.4 0.1 0 -1.8 0.7
2015 -2.3 -0.1 0 0.4 0.2 0.4 0.9 -2.6 -1 0.5 0.8 -1.1 -4
2016 1 -0.4 0.5 0.5 0.4 -0.1 -0.1 -0.4 -0.8 -1.8 -0.9 -0.5 -2.5
2017 -1.7 -0.8 0.3 -0.5 0.8 -0.1 0.5 -0.2 -0.2 -0.5 -0.4 0 -2.8
2018 -1.5 0 0.5 -0.2 -1.5 0.1 -0.8 -0.4 -0.3 -0.3 1.5 0.3 -2.7
2019 -0.3 0.2 -0.7 -1 0.6 -0.3 1 0.1 -0.3 -0.2 -0.2 0.4 -0.7
2020 -0.5 -3.4 -6 -2.3 1 2.2 0.1 -1.1 0.9 -0.6 0.7 1.4 -7.6
2021 0.7 2.1 0.3 NA NA NA NA NA NA NA NA NA 3.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-01-30  49.8 SPY    113.  0        -0.0083   0.0207   0.0789    0.344   -0.168  -0.0998 <NA>     NA    NA       NA
2 2004-02-02  49.6 SPY    114.  0.0043   -0.0164   0.0242   0.0813    0.324   -0.162  -0.0853 <NA>     NA    NA       NA
3 2004-02-03  49.9 SPY    114. -0.0017   -0.0078   0.0229   0.0805    0.320   -0.163  -0.102  <NA>     NA    NA       NA
4 2004-02-04  49.3 SPY    113. -0.0082   -0.0046   0.0036   0.0647    0.322   -0.174  -0.116  <NA>     NA    NA       NA
5 2004-02-05  49.0 SPY    113.  0.00290  -0.0026   0.0056   0.0702    0.334   -0.179  -0.108  <NA>     NA    NA       NA
6 2004-02-06  49.3 SPY    114.  0.0112    0.0085   0.0135   0.0813    0.355   -0.165  -0.0926 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart